Large retail time deposits and the U.S. Treasury securities (1986-95): evidence of a segmenting market
Article Abstract:
The weekly series of Treasury and large retail time deposit yields for three maturities from 1986 to 1995 were analyzed. The results showed a pattern of equilibrium pricing between 1986 and 1990. However, the large retail time deposits were routinely underpriced relative to Treasuries starting in mid-1990. The change in the pricing of large retail time deposits has been attributed to the increasing market segmentation.
Publication Name: Managerial Finance
Subject: Business
ISSN: 0307-4358
Year: 1998
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Implied volatility vs. GARCH: A comparison of forecasts
Article Abstract:
Three types of forecasts of volatility of equity returns are compared. They are historical volatility estimate, the Black-Scholes implied volatility formula and the generalized aoutoregressive conditional heteroscedascity model. The study, which focuses on the two latter forecasting types, concludes that there are no significant differences in the estimates derived from both forecast methods.
Publication Name: Managerial Finance
Subject: Business
ISSN: 0307-4358
Year: 1995
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